It would be hard to say what states are the most important to Wild West history, as each state made it's own important contributions to the history of the American West. One suggestion I could make would be to check out Fort Smith, AR (where I live) especially if you are interested in law enforcement in the west. Fort Smith, and the US Marshals who were stationed here, were in charge of enforcing the law and apprehending criminals throughout the Indian Territory which is now Oklahoma. It was also the city that Judge Isaac Parker, the Hanging Judge, presided in as a Federal Judge. The city has a number of museums and historic sites with tons on information about how the west was settled. It's also got a really unique history of it's own, as a place where civilization met the unsettled and wild West. Fort Smith was also the last stop before Indian Territory on the Trail of Tears, and you can find quite a bit of information on that here as well. The city have done a good job with preserving it's frontier history over the years and it could make a good starting point for your tour of the west.